Exponential utility maximization with delay in a continuous time Gaussian framework

DOI10.1016/J.SYSCONLE.2025.106270MaRDI QIDQ6884147zbMATH OpenFDO

Authors Yan Dolinsky

Publication date 15 December 2025

Published in Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.SYSCONLE.2025.106270

zbMATH Keywords

continuous timeGaussian processesutility maximization

Mathematics Subject Classification ID

Gaussian processes (60G15) Utility theory (91B16) Portfolio theory (91G10)

Cites work

• Explicit computations for delayed semistatic hedging
• scientific article; zbMATH DE number 3135320 (Why is no real title available?)
• scientific article; zbMATH DE number 2050984 (Why is no real title available?)
• On a Criterion for Gaussian Random Processes to Be Markovian
• Radon-Nikodym Derivatives of Gaussian Measures
• Representation of Gaussian processes equivalent to Wiener process
• Short Communication: Exponential Utility Maximization in a Discrete Time Gaussian Framework

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